Genz A., Bretz F. Computation of Multivariate Normal and t Probabilities

Springer, 2009. — 129 p. — (Lecture Notes in Statistics 195). — ISBN: 978-3-642-01688-2.Multivariate normal and t probabilities are needed for statistical inference in many applications. Modern statistical computation packages provide functions for the computation of these probabilities for problems with one or two variables. This book describes recently developed methods for accurate and efficient computation of the required probability values for problems with two or more variables. The book discusses methods for specialized problems as well as methods for general problems. The book includes examples that illustrate the probability computations for a variety of applications.Special Cases
Methods That Approximate the Problem
Methods That Approximate the Integral
Further Topics
Applications